Essays about: "OLS regression capm"

Showing result 1 - 5 of 10 essays containing the words OLS regression capm.

1. 1. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Benjamin Javidi; Malin Larsson; [2023-08-25]
   Keywords : Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

   Abstract : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. READ MORE

3. 2. Mispricing of Climate Risk

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
   Keywords : Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

   Abstract : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. READ MORE

4. 3. Does the sinner beat the saint? An empirical study of the Nordic stock market

   University essay from Göteborgs universitet/Graduate School

   Author : Jonathan Winberg; [2019-11-27]
   Keywords : Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

   Abstract : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. READ MORE

5. 4. Keen for Green - A Study of Pricing in the Secondary Green Bond Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Rickard Anderkrans; Patrik Johannesson; [2019]
   Keywords : Green bonds; Panel data; Issuer fixed effects regression; Capital asset pricing model; Investor preference; Business and Economics;

   Abstract : The emerging green bond market is a novel research area with only a few studies being published in recent years. The increase in interest from issuers, investors, and academia shows the clear need for further investigation of the pricing dynamics affecting the green bond market. READ MORE

6. 5. Models explaining the average return on the Stockholm Stock Exchange

   University essay from Högskolan i Jönköping/Internationella Handelshögskolan

   Author : Jämtander Jämtander; [2018]
   Keywords : Asset Pricing Model; P E ratio; CAPM; Market Efficiency; Market return; risk-free rate; Anomaly; Behavioral finance; Fama-French Three Factor Model; Fama-French Four Factor Model; Stockholm Stock Exchange; Market value; Book-to-market value; Portfolio; OLS-regression;

   Abstract : Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. READ MORE